Johnson-Omega performance measure
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions. He shows how this measure provides a hedge fund portfolio with superior tail properties
The financial crisis culminating in the Lehman Brothers collapse in September 2008 was a revealing stress test for mathematical methods in finance. Due to disastrous breakdowns and experiences, managers returned to simplistic models such as minimum variance or equally weighted portfolios, despite the fact that these ignore certain important stylised facts of financial time series, eg, trends, asymmetry and tail fatness (DeMiguel, Garlappi & Uppal 2009). In addition, mean-variance restricted
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